The Maps.Brazil data set contains Lat and Long variables. So if your annotate data does as well and have the same names you may be able to use the LATLON option on Proc Gmap to use those instead of the X Y variables for plotting.
proc gmap map=maps.brazil anno=work.estados
choro segment / levels=1 nolegend coutline=gray88;
If you're working with lat/long point data, I would recommend projecting the map, and then projecting the point data (using the exact same parameters as were used to project the map). You could work with unprojected lat/long values, but having the code in place to apply any projection you want really adds a lot of flexibility (and is the best-practice way to go).
Here's an example:
data my_map; set mapsgfk.brazil (where=(density<=3) drop=x y resolution); run;
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